Location: WPI Seminar Room C 714
Wed, 19. Jun (Opening: 10:00) - Thu, 20. Jun 13
The objective of these lessons is to show that model risk, particularly
financial model risk, is intrinsic to stochastic modelling, and that its
analysis opens new challenging
mathematical and numerical questions.
We will also present recent
results which concern strategies which, issued from the technical
analysis, do not rely on a specific mathematical model and therefore are
robust w.r.t model risk.
Various theories will be used, such as statistics of random processes,
stochastic control, Malliavin calculus, backward stochastic differential
equations, viscosity solutions of nonlinear Partial Differential
However the course will be self-contained
Peter Laurence (U. Roma)
René Aid (Electricite' de France)
Fred Benth (U. Oslo)
Valery Kholodnyi (Verbund)
| Remark: Speaker: Prof. Denis Talay |
Registration for this mini-course is free, but
Please register by sending an email
Please send only one email per registree, i.e. please
do not try and register a second person.
Registration will close when all seats are taken.